| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 477461 | European Journal of Operational Research | 2008 | 5 Pages |
Abstract
In the basic Markowitz and Merton models, a stock’s weight in efficient portfolios goes up if its expected rate of return goes up. Put differently, there are no financial Giffen goods. By an example from mortgage choice we illustrate that for more complicated portfolio problems Giffen effects do occur.
Keywords
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Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Rolf Poulsen, Kourosh Marjani Rasmussen,